This paper devotes a first and direct attention on the feedback trading behaviors of one of the largest investor populations in the world. Using a unique data set of historical stock transaction, we examine cross-sectional and time-varying buy-sell activities of Chinese investor as a function of a series of stock returns in past. The time-horizons over which investors trade in response to retur...

This study examines the relationships between the herding of various investor groups and trading noise in the Taiwan stock market to determine whether any of the investor groups tend to herd rationally. The study uses a unique and comprehensive data set on intraday transactions and limit order books of the Taiwan Stock Exchange (TWSE). We calculate the high-frequency herding measures and tradin...

This chapter illustrates a data-mining approach to single-position day trading which uses an evolutionary algorithm to construct a fuzzy predictive model of a financial instrument. The model is expressed as a set of fuzzy IF-THEN rules. The model takes as inputs the open, high, low, and close prices, as well as the values of a number of popular technical indicators on day t and produces a go sh...

Theoretical research as well as empirical evidence offer mixed results regarding individual investor trading strategies and motives behind them. Are investors trading on information or are they simply trying to predict prices based on fads and/or behavioral biases? If investors follow certain patterns, what are those – trend-chasing or contrarian? Do investors watch closely news related to stoc...

The presumed source of the volatility is a trading strategy called “programmed trading.”2 This strategy, which essentially involves trading on small and shortlived price differences for the same group of stocks in the spot, futures and options markets, is not new. The introduction of stock jnde~futures around 1982 and the application of computer techniques to monitor price differences and trigg...

In contrast to empirical evidence, standard theories conclude that transaction costs only have a second order effect on liquidity premia. In this paper, we show that if one incorporates the well-established fact that market volatility during trading periods is significantly higher than during nontrading periods, then transaction costs have a first order effect that is much greater than that fou...

The main objective of this paper is to find the performance selected equity stocks Pharma industry on a long term basis.This includes different tools for evaluating stocks. Some like standard deviation, Beta and Average returns are mainly used calculate risk return in study. Sector occupies position importance Indian Economy. Stock markets play predominant role up-liftment Economy financially. ...

Tax-Loss Trading and Wash Sales An analysis of trades in the Finnish stock market around the turn of the year 1994-95, 199596, and 1996-97 shows that Finnish investors tend to realize losses more than gains towards the end of December. They also buy back the same stocks they recently sold, with a repurchase rate that depends on the size of the capital loss and how close the sale is to the end o...

Voting and non-voting shares of ten German companies are analyzed for fractional cointegration. It turns out that seven pairs of price series are fractionally cointegrated, which means that for each pair there is a linear combination of the two series that is a long-memory process. If two stocks are fractionally cointegrated, future returns of at least one of the stocks can be predicted by past...